某瑞士投行关于美元的预测，二楼和三楼为两个投行对国债和短期利率的预测

US dollar forecast revisions
􀂄 Renewed investor interest
The dollar has begun to dip again on the world’s foreign exchange markets,
drawing the attention of investors. In this note we explore the reasons for the
dollar’s decline and provide revised forecasts.
􀂄 The wrong reasons
Various arguments are put forth to explain the dollar’s weakness. These include
excessive Fed money printing, increased inflation risk, large US budget deficits,
doubts about sustainability of the US recovery, and dollar overvaluation. While
many of these factors might eventually push the dollar lower, none provides a
convincing explanation for dollar weakness in 2009.
􀂄 What’s at work
Instead, dollar weakness reflects declining risk aversion (and hence reduced
demand for US dollar liquidity) and, possibly, increased ‘carry’ activity funded in
dollars. Moreover, growth has surprisingly resurfaced in Europe and Japan ahead
of the US. Finally, investors may be (correctly) anticipating that the decline in the
US trade deficit is over.
􀂄 Revised forecasts
We now forecast year-end 2009 EUR/USD at 1.40 (was 1.30) and 2010 1.50 (was
1.40). The corresponding yen rates are 95 (was 100) and 90 (was 95). We maintain
year-end 2009 and 2010 US dollar forecasts versus the Chinese renminbi of 6.80
and 6.60, respectively
􀂄 Benign dollar decline?
For now, dollar weakness is benign, in our view. It reflects lessening investor risk
aversion. However, imbalances in the world economy remain significant. US
external deficits increasingly reflect large structural fiscal deficits, which if left
unaddressed pose significant medium-term risks for the dollar.

US dollar forecast revisions
In this note we consider the outlook for the US dollar against the euro and the
Japanese yen. The dollar’s direction has become a source of greater investor
interest in recent weeks, given its gradual weakening in the world’s foreign
exchange markets. As a result, the dollar is now significantly weaker than we
had forecasted for year-end 2009 (namely, EUR/USD 1.30 and USD/JPY 100),
prompting the forecast revisions which we outline below.
In what follows, we assess various drivers of the dollar’s external value and how
these are likely to evolve over the coming year. We also consider the risks to our
new dollar forecasts.
What can not explain dollar weakness?
Various cases are offered to explain the dollar’s movements. While all currency
models have a distressing habit of breaking down sooner or later, it is
nevertheless possible to separate plausible reasons for the dollar’s recent dip
from those that don’t add up. We begin with arguments that aren’t persuasive:
􀁑 The Fed is printing too much money. So long as bank lending remains
anaemic, the expansion of the Fed’s balance sheet is having little impact on
the supply of dollars in the broader economy or financial markets, including
the foreign exchange market. To the point, rate of total bank credit growth
continues to decelerate. In short, the Fed has created plenty of ‘high-powered
money’, but it largely sits idle on bank balance sheets and is having little
direct impact on economic activity or most asset prices, including currency
values.
The US is faced with resurgent inflation. Fears of high inflation would be
negative for the dollar. However, near- and long-term inflation expectations
are well-behaved and provide little evidence to suggest that investors are
fretting about price pressures in the US economy.
Investors are worried about US budget deficits. Large budget deficits, if
left unaddressed, would pose significant challenges for the US dollar. But
presumably they would be even more problematic for the US Treasury
market. Yet with bond yields low, it appears that investors are—for now—
not concerned about US government financing risk.
􀁑 The US is in the midst of a ‘false’ recovery. If US growth were expected to
falter, the dollar would probably weaken in the currency markets. Yet if that
were the consensus expectation among investors, equity and credit markets
would also be giving up ground. Their ongoing strength, in contrast, suggests
that growth expectations, per se, are not the source of recent dollar softness.
􀁑 The dollar is overvalued. On our estimates, it is actually the euro that
screens as somewhat overvalued, with a bilateral PPP rate of about
EUR/USD 1.20. The dollar is near fair value against the yen (PPP of
USD/JPY 95.0). The dollar is, in our view, significantly overvalued against
the renminbi. The dollar ought to fall versus the renminbi, but, courtesy of
significant reserve accumulation by the Chinese authorities, is prevented
from doing so.
What can explain dollar weakness?
To be sure, several of the preceding reasons might eventually become sources of
dollar weakness. Ruling them out today does not mean ruling them out
indefinitely. However, we think the drivers of recent dollar weakness lie
elsewhere.
One factor that helps to explain the dollar’s softness this year is the resumption
of more normal risk-seeking behaviour in the capital markets. That observation
is borne out by the correlation between our UBS Risk Indicator and the
EUR/USD exchange rate or, alternatively, the correlation between the dollar’s
value and our measure of the implied equity risk premium.
These relationships require some elaboration. While the dollar has often been
viewed as a ‘safe haven’ currency, its performance over the past year—
strengthening sharply just as the US financial system and economy were on the
verge of imploding—seems odd. However, during the extraordinary stresses of
last autumn, investors prized liquidity above all else. And no currency (or capital
market) can match the liquidity found in the US.
Hence, receding demand for liquidity this year as the financial system has
stabilized helps to explain the dollar’s decline, coincident with the recovery of
markets (falling equity risk premiums) and the normalization of risk indicators.
Yet these relationships may also embed more than just a normalization of risk
appetite. If investors are now genuinely seeking higher returns, the low interest
rate environment provided by the Fed may be contributing to dollar weakness
via ‘carry’. In other words, expectations of low and stable funding costs may be
encouraging some investors to borrow in US dollars to invest in various assets,
including foreign currencies and equities (e.g., emerging equities). In this sense,
‘carry’ is different from the usual interest differential approach to currency
modelling. After all, interest differentials (short- or long-term) do not appear to
explain very well the dollar’s movements against the euro in recent years.
Relative growth rates may also be at work. Earlier this year when we forecasted
year-end 2009 exchange rates of EUR/USD 1.30 and USD/JPY 100, we
anticipated that the dollar would benefit from an earlier recovery of the US
economy. That view, in turn, was predicated on the more convincing monetary,
fiscal, and financial policies adopted over the past year in the US than
elsewhere.
However, that’s not the way things have turned out. Various European countries,
led by Germany, were the first to post positive GDP in Q2. So, too, did Japan.
Meanwhile, the US economy continued to shrink through mid-2009. Partly,
those outcomes have to do with the fact that the inventory liquidation was
nearing completion by mid-year, allowing trade and production to recover. That
rebound has benefitted the more trade-oriented German and Japanese economies
than the US. And for Japan, in particular, China’s recovery has also helped to
lift exports.
Finally, the US dollar may also softening on expectations that the improvement
in the US trade and current account deficits witnessed thus far in the cycle is
now coming to an end. Indeed, last month’s sharp widening of the US
merchandise trade deficit likely marks the turning point for the US external
accounts. Why? Because the US external position was undoubtedly flattered
over the past eighteen months by recession-induced import weakness, as well as
by last year’s sharp fall in energy prices. A collapse of inventories, in particular,
contributed to sharp fall in imports. As the inventory liquidation cycle
concludes, so too will the fall in imports. The implication: A bigger US trade
deficit is on the way. Our US team forecasts a current account deficit (as a
percentage of GDP) of 2.7% this year, rising to 3.0% in 2010.
So, as US growth and final demand now begin to normalize (note the sharp
jump in August US retail sales), imports are likely to pick up again. To be sure,
US export growth will benefit from similar developments overseas. However, a
large initial trade deficit (meaning exports must grow faster than imports to
close the gap) and a higher propensity of the US to import than in its trading
partners suggests the return to ever-widening US trade and current account
deficits over the next few years.==========================

当然我个人觉得，做的一般。如果想看全文或者想了解整个脉络，可以给我发短信，留下邮箱。

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Bill to coupon switch
􀂄 A switch by central banks from bills to coupons,
owing to reduced liquidity risks, should be
supportive for the Treasury market in the near
term.
􀂄 Over the longer term, however, rising longduration
issuance and the end of Fed buying
should result in pressures for rising yields, with
the caveat that if the securitization market
doesn’t recover, there could be a secular shift into
Treasuries.
In the past 3 weeks, yields across the Treasury curve have
fallen by around 10 bp. This has occurred despite the
generally positive economic news, and another round of
long-duration Treasury issuance, in the 3Y, 10Y, and 30Y.
In addition, these 3 Treasury auctions all had negative tails
— the auction high yield was less than the prevailing
market level at the time of the auction deadline. Thus
there has been substantial buying that has continued to
support the Treasury markets. We conclude that foreign
investors, primarily central banks, have made up a
significant portion of these buyers, as they extend their
Treasury holdings out of bills and into coupon notes and
bonds.
Central banks of emerging market countries have had two
reasons in particular for accumulating large Treasury bill
holdings: First, the memory of the 1997-1998 EM crisis
has led them to place a substantial premium on large, very
liquid central bank reserves. Second, concerns over
systemic risks in the US following last year’s collapse of
the GSEs and financial institutions were also a factor.
Consequently, total foreign holdings of Treasury bills have
risen to $855 bn as of June 2009, $572 bn of which is
held by foreign official entities. Of that $855 bn, $478 bn
had occurred in the prior 12 months. The recent growth
had reflected the perception of escalating US systemic
risks arising from the effects of a decline in real estate
wealth exceeding $7 tn, and the resulting losses and
fragility of the banking system.
However, in the last 6 months, the market environment
has improved substantially, leading foreign central banks
to reduce the need to maintain maximum liquidity in the
bill market. We see 5 reasons behind the reduced need
for bills:
Credit creation in Asia has been occurring at a rapid
pace, particularly in China, where new bank lending
activity has increased by nearly CNY 9 tn, or about
$1.3 tn, over the past 9 months.
• The Federal Reserve’s credit/quantitative easing
program has increased liquidity and substantially
resolved the funding crisis.
• Recent strength in the US economic data has
reduced the probability of a major depression or
deflationary episode.
• The bank stress tests and the successful
recapitalization of the US banking system through the
TARP program reduced the fear of systemic risk
arising from possible large bank failures.
• With 3M bills yielding less than 0.20%, it has been
costly to maintain cash-like positions.
The concerns of central banks have declined as a result,
although optimism regarding a sustained US recovery is
still muted, due to persistent worries about the general
availability of credit. As a result, the central bank demand
for Treasury bills has fallen, and the demand for higheryielding
investment alternatives has risen. Foreign central
banks have faced a choice of either moving into spread
product, or extending out the Treasury coupon curve.
Since there has already been significant tightening in
spread product, and owing to continuing anxiety about the
ultimate status of the GSEs and the impact on the agency
and MBS passthrough markets, these investors generally
were less comfortable moving into liquid spread product.
Thus there has been a substantial move out the Treasury
curve.
This is evident from the latest TIC foreign Treasury buying
data from June, which showed a net shift out of bills and
into coupons by $111 bn over the month. The chart below
shows cumulative net foreign purchases of bills and
coupons since June 2008. Bill purchases initially rose
substantially last autumn, during the height of the crisis,
but coupon holdings have been rising steadily, and
jumped recently, reflecting the decreased demand for the
maximum liquidity characteristics of bills.
The chart above also shows the cumulative net issuance
of bills by the Treasury since June 2008. Bill issuance rose
substantially during the crisis, but has stabilized
somewhat. Foreign purchases of bills have corresponded
to the general pattern in issuance. But over the coming
year, the picture for Treasury bill issuance is likely to
change substantially. The Treasury has already announced
plans to increase coupon issuance sizes gradually over the
coming year, in order to increase the duration of Treasury
issuance. If sizes increase in line with the Treasury
Borrowing Advisory Committee recommendations, which
amount to $4-7 bn increases in issue sizes, in the context
of projected net marketable issuance in 2010 of $1.43 tn,
the amount of bills outstanding could fall by over $500 bn.
Even in the unlikely event that coupon issuance sizes are
frozen at current amounts, the fall in bills outstanding
could be over $130 bn. These scenarios are also
illustrated in the following chart, showing the net effect of
the 2 scenarios (TBAC-recommend coupon issue size
increases, and unchanged sizes) on both cumulative
coupon and bill issuance for fiscal year 2010.
Cumulative coupon and bill issuance since 2008, with
coupon issuance scenarios
0
500
1000
1500
2000
2500
3000
3500
4000
4500
Jun-08 Sep-08 Dec-08 Mar-09 Jul-09 Oct-09
$ bn
Total net bill issuance
Total net coupon issuance,
with scenario projections
Source: Deutsche Bank
Thus the switch out of bills and into coupons by foreign
central banks could have a time-sensitive component as
well, since bill supply is likely to shrink sharply in the
coming year, and investors as a whole will be forced to
reduce their bill purchases. These factors could thus
cause continued buying pressure in the near term, and be
broadly supportive for coupon Treasuries, particularly in
the front end of the yield curve. There could still be a
month or 2 remaining for this switch trade to be a major
factor in the market, and thus it would be easy for yields
to decline to the lower end of a 3-4% range in 10Y
Treasuries. Subsequently, however, the longer term
bearish factors of longer duration issuance, end of Fed
buying, and fluctuating expectations of the
implementation of the Fed exit strategy, should ultimately
predominate. However, one longer term offsetting factor
that could provide a bid in the market is the sustained
trend decline in the net supply of MBS, and the freeze in
the rest of the securitization market, which the increased
supply of Treasuries doesn’t completely compensate for.

下为某美国投行关于美国短期利率的分析。
之所以说他是因为短期利率影响10年期，10年期利差影响美元指数。
======================
旧金山联储John Williams 撰写的最新研究支持了我们对美联储政策的观点，即徘徊在零附近的联邦基金利率严重地束缚了货币政策的手脚，进而造成经济增长乏力以及导致推迟加息（大多数预测者目前预测加息出现在2010年）。在模拟了负利率可能如何影响通胀率和失业率的同时，Williams列举了一个美联储可以更接近实现通胀和失业目标的情景。他还表示，如果实际均衡短期利率已经下降或系统遭受的冲击变得更加剧烈或持续存在，大多数央行设定的2%通胀率目标可能过低。
近几个月来，我们一直认为名义利率徘徊在零附近(ZLB)严重地束缚了经济政策、特别是货币政策的手脚。具体来说，如果将泰勒法则的一个货币政策变量和我们对经济增长和通胀率的预测结合在一起，我们一直认为如果可能的话，联邦公开市场委员会(FOMC)将会希望把联邦基金利率降至远低于零的水平，比如说-6%或更低的水平。我们在2009年1月16日的美国经济分析“零利率政策(ZIRP)还远远不够”首次提出了此观点，最近在2009年8月28日的美国经济分析“美联储政策前瞻”中再次提到了这个观点。
其他一些人士，如旧金山联储的Glenn Rudebusch 也得出了相类似的结论：今年早些时候，他总结说FOMC自身预测隐含的最佳利率水平为-5%。（参见2009年5月22日的旧金山联储经济研究“The Fed’s Monetary Policy Response to the Current Crisis”）。由此可以得出一个重要结论：最佳利率水平应该远低于零并持续较长一段时间，以至于这段时间应该用年而不是季度或月来衡量。这意味着利率的上调会远远晚于许多预测者和市场参与者的预测。例如，在Blue Chip调查的47位受访者中，仅有7位认为2009年或2010年不会加息，而我们便是其中之一。
泰勒法则于1993年为斯坦福大学教授泰勒(John B. Taylor)首次提出，用于描述FOMC在设定政策利率方面的具体做法以及应该如何做。泰勒提出的公式具体如下：
R = r* + p + (p-p*)/2 + (y-y*)/2,
在此公式中，R = 名义政策利率（即联邦基金利率），r* = 实际均衡政策利率，p = 通胀率，p* =央行(FOMC)希望的通胀率，y = 实际GDP，y* = 实际GDP的潜在水平（这意味着y-y*代表着GDP缺口）。泰勒法则背后的观点一目了然：在通胀率或GDP高于/低于希望达到的水平之后利率目标应该上升/下降。
在上文提及的研究中，我们和其他人士对泰勒法则的一个变量进行了预测，具体做法是：(1) 用失业率与非加速通货膨胀失业率(NAIRU)之差替换产出缺口；(2) 用计量经济学预测替换泰勒教授出于简便考虑而为通胀和产出误差设定的½参数，以便让泰勒法则准确地描述FOMC到底在做些什么；(3) 将这些结果与对通胀率和失业率的预测结合在一起，得出隐含的未来利率走势。重
我们应该指出，泰勒教授不同意联邦基金利率应为较低负值的结论以及在此基础上所做的分析，他认为最佳利率仅是略低于零，并指出ZLB在较长时间内仍起约束作用的影响。（请参见2009年7月24日的彭博新闻“Taylor Says Fed Gets Rule Right, Goldman Doesn’t”。）我们能够确定的是，该差异主要来源于用估计参数代替假设参数以及选择所使用的预测。
在上周布鲁金斯学会会议的一篇论文中，John C. Williams——也来自旧金山联储——为这个结论提供了进一步支撑：ZLB使货币政策受到较大限制，美联储官员应在较长的时间里保持较低的联邦基金利率。具体而言，该论文有两个主要结论：(1) 虽然ZLB不是导致2008年底和2009年初美国经济活动大幅下滑的显著因素，“但它是使复苏步伐放慢的显著因素”；(2) 很多央行以2%作为通胀目标，在特定的情况下这一水平过低，可能会提高未来利率触及ZLB的频率。（请参见2009年9月7日的“Heeding Deadalus: Optimal Inflation and the Zero Lower Bound”。）
为了支撑第一个结论，Williams使用由美联储开发并维护的美联储/美国计量经济模型进行四年模拟，来研究央行如果将基准利率下调至零以下，是否会在达到通胀目标和就业目标上更加成功。以费城联储的《专业预测者调查》作为基准，Williams预计了在以下情形下预测将会变动的幅度：FOMC在2009年初将联邦基金利率下调至-2%，并保持这一水平直至2010年底，然后回到加息的基准路径。而后又对2009-2010年以-4%的联邦基金利率做了同样的实验。
在利率为-2%的情况下，失业率小幅下滑，2012年底为6½%，而不是预测者目前预计的7%。该模拟也使得核心通胀率（以个人消费支出的价格指数衡量）略高于基准走势（平均而言远低于2%），到2010年底时接近这一水平。所传达出的信息较为明确：除非NAIRU高于7%，如果FOMC能够将联邦基金利率下调至零以下，那么将会更好地达到其通胀目标和失业率目标。使用-4%的利率进行模拟也得到同样的结果。即使通胀率是唯一的目标，虽然到2012年底时通胀率达到2½%，但是平均通胀率仍远低于2%的目标这一令FOMC感到比较满意的水平。就业水平也是目标之一，到2010年底时将失业率降至6%则是锦上添花。此外，该模拟还从产出下降的角度对ZLB的成本进行了计算；例如，-4%的利率使整个四年期间的实际GDP上升了3%左右，意味着如果无法将利率下调至该水平，产出会下降约1.7万亿美元（每年人均降幅接近1,400美元）。
这些结论无疑依赖于用于预测模拟效果的模型的有效性。此外，如Williams 所指出的那样，这些结论也带来了其他问题。例如，鉴于到2012年底时通胀率高于目标水平，这期间是否应采取比归回正常趋势更紧张的货币政策？在较长时期将短期实际利率推低至极低水平（低于-5%）是否明智？是否会引起另一轮资产价格上行周期？
虽然这些问题很重要，但是该论文对ZLB的成本分析较有说服力。此外，虽然Williams没有进一步讨论资产泡沫问题，但对收紧政策以阻止通胀率超过目标的问题给予了部分解答，说明了通胀目标可能被提高至2%（目前央行通常使用2%作为目标）以上的情况。简短的回答是，如果通胀目标和均衡实际政策利率意味着正常的政策利率目标等于或高于4%（“正常”可以是相对较长时期的均值——例如一个完整的商业周期），那么ZLB不是严重的问题。实际短期利率均值约为2½%（如过去50年那样）意味着通胀目标为1½%至2%。然而，如果均衡实际短期利率下降——Williams提供了关于这种可能性的一些证据——那么2%的通胀率可能过低。或者，如果对经济体系的冲击越来越大或时间相关性越强——即，如果最近危机时的现象预示着经济波动性将再次上升以及上世纪80年代中期至2005年中期的“大稳健时期”结束——那么央行可能会提高通胀目标以避免使联邦基金利率降为零的情况出现。

高深……

就是进来问LZ个好

向LZ问好

顶完再看